Sure, using drill bits is easy - just squeeze the trigger and plunge the spinning bit into the work piece paying no regard to any potential dangers. Not quite. Using drill bits like this leads to premature wear and even breaking. Obviously, the thinner the bit is, the weaker and more easily it can snap. One must be especially careful when drilling through steel, hard metals, or even thick wood with thinner drill bits.
Drill bits under 3 mm in diameter will snap rather easily when subjected to bending stresses. This means that if you allow your bit to enter the work piece crooked, attempt to change the direction of the bit once it's already partially inside the work piece, or even just apply too much force, you run a great risk of breaking your bit - or at the least, causing undue wear. Bits are generally not flexible. Remember this when you're tempted to use your bit for something it's not meant for.
Another point is removing your drill bit from the work piece periodically and shaking off the shavings. Failing to do this results in "burning", as the flutes will jam up with these shavings and cause excessive friction. The high temperatures caused by this process will weaken the metal and render it more susceptible to wear. This is why it is advisable to use a lubricant of some kind such as motor oil, when drilling through steels and other tough metals.
Simply dip the tip of the bit into the oil every so often throughout the drilling process. By using a lubricant you can keep the friction down, and by keeping the friction down, you will keep the temperature down, thereby prolonging the lifespan of the bit. Lubricant also enables the bit to "slip" right past potential binding spots in metals, which can otherwise prove to be quite damaging to your bit.
Also, when drilling, make sure the direction of force is forming a straight line from your hand all the way to the tip of the drill bit. In other words, if the bit is being bent unknowingly because you're applying the force from the handle instead of the head of the drill (the part of the drill body that is directly behind the bit-shaft), you have a high chance of breaking your bit.